一、主题：Profitability and Capital Dynamics of Common Trading Strategies in a Simple Financial Model

二、主讲人：邓家品，bwin必赢唯一官方网站2010级金融工程2班本科生，bwin必赢唯一官方网站第一期卓越学术人才培养项目入选者，现保送至北京大学光华管理学院金融学专业直博生。大学期间，获得大学生数学竞赛全国一等奖，获得学术科研奖学金、骋望奖学金等。

三、时间：2013年11月18日（周一）18:30-20:30

四、地点：bwin必赢唯一官方网站沙河校区主教308教室

五、点评人：戴韡，bwin必赢唯一官方网站金融工程系教师

文章摘要：

By empirical evidences, it is difficult to find a trading strategy with consistently good performance over a long period, and strategies’ profitability seem to be varying through time in a cycle fashion. Under the price formation mechanism based on a market-maker with risk aversion to inventory, this paper elaborately detects the crucial factors that affect strategy’s profitability with two common trading strategies, i.e. trend following strategy and value investing strategy, respectively and both together. We find that the capitals invested in strategies play an important role in limitingself’s pro?ts and affecting each other’s interactions. Also the market maker’s risk aversion to inventory could make positive or negative influence on strategies’ profitability through the price dynamics induced by his/her behaviors. Consistent with empirical evidences, the inverted parabola response of strategy’s payoffs to self’s capitals is found in the market niches with value investing strategy alone and in company with trend following strategy together. This pattern implies the pro?ts that the strategy could bring to its users are limited and originates from the balance between the increasing capitals invested and the decreasing payoffs per capital. Based on the cross influences of the variations in one strategy’s capitals on the other’s payoffs, the interactions between the two strategies could be prey- predator, symbiosis or competition depending on their capitals and the window length of trend following strategy. Moreover, the trend following strategy with a longer window length seems to be more competitive than the one with a shorter window length when encountering value investing strategy. In the long time horizon with the two strategies’ payoffs reinvestment, the market can spontaneously evolve to the equilibrium where each strategy gains even.